We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted
by most 'affine' term structure models. To this end, we construct powerful and model-free empirical
measures of the quadratic yield variation for a cross-section of fixed-maturity zero-coupon bonds
(`realized yield volatility') through the use of high-frequency data. We find that the yield curve
fails to span yield volatility, as the systematic volatility factors are largely unrelated to the cross-
section of yields. We conclude that a broad class of a±ne diffusive, Gaussian-quadratic and a±ne
jump-diffusive models is incapable of accommodating the observed yield volatility dynamics. An
important implication is that the bond markets per se are incomplete and yield volatility risk
cannot be hedged by taking positions solely in the Treasury bond market. We also advocate using
the empirical realized yield volatility measures more broadly as a basis for specification testing and
(parametric) model selection within the term structure literature.